Time-varying spot and futures oil price dynamics

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative contribution of the two types of market turns out to be highly unstable, especially for the most deferred contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed

Multiple cyclical fractional structures in financial time series

This paper analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow Jones and the Standard&Poor stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies, including the long-run or zero frequency

Inclusive Four-jet Production at 7 and 13 TeV: Azimuthal Profile in Multi-Regge Kinematics

Recently, new observables in LHC inclusive events with three tagged jets were proposed. Here, we extend that proposal to events with four tagged jets. The events are characterised by one jet in the forward direction, one in the backward direction with a large rapidity distance $Y$ from the first one and two more jets tagged in more central regions of the detector. In our setup, non-tagged associated mini-jet multiplicity is present and needs to be accounted for by the inclusion of BFKL gluon Green functions. The projection of the cross section on azimuthal-angle components opens up the opportunity for defining new ratios of correlation functions of the azimuthal angle differences among the tagged jets that can be used as probes of the BFKL dynamics.Comment: 19 pages, 8 figures; v2: published versio

Probing the BFKL dynamics in inclusive three jet production at the LHC

We propose the study of new observables in LHC inclusive events with three tagged jets, one in the forward direction, one in the backward direction and both well-separated in rapidity from the each other (Mueller-Navelet jets), together with a third jet tagged in central regions of rapidity. Since non-tagged associated mini-jet multiplicity is allowed, we argue that projecting the cross sections on azimuthal-angle components can provide several distinct tests of the BFKL dynamics. Realistic LHC kinematical cuts are introduced.Comment: 8 pages. Talk given by G. Chachamis at the 5th International Conference on New Frontiers in Physics (ICNFP2016), 6-14 July 2016, Kolymbari, Crete, Greec

BFKL Azimuthal Imprints in Inclusive Three-jet Production at 7 and 13 TeV

We propose the study of new observables in LHC inclusive events with three tagged jets, one in the forward direction, one in the backward direction and both well-separated in rapidity from the each other (Mueller-Navelet jets), together with a third jet tagged in central regions of rapidity. Since non-tagged associated mini-jet multiplicity is allowed, we argue that projecting the cross sections on azimuthal-angle components can provide several distinct tests of the BFKL dynamics. Realistic LHC kinematical cuts are introduced.Comment: 17 pages, 7 figure

Azimuthal-angle Observables in Inclusive Three-jet Production

We discuss the impact of corrections beyond the leading-logarithmic accuracy on some recently proposed LHC observables that are based on azimuthal-angle ratios in a kinematical setup that is an extension to the usual one for Mueller-Navelet jets, after requiring an extra tagged jet in central regions of rapidity. The corrections tend to be mild which suggests that these observables are an excellent way to probe the onset of BFKL effects at hadronic colliders.Comment: 6 pages, presented by G. Chachamis at the 25th International Workshop on Deep Inelastic Scattering and Related Topics, 3-7 April 2017, Birmingham, U